Fuzzy Game-based Real Option Analysis in competitive investment situation

Tanatch Tangsajanaphakul, Junzo Watada

    研究成果: Conference contribution

    抜粋

    In real option pricing, it is impractical to assume the net present value of expected cash flow payoff as an exact number because it is a forecasted vague one. The price can be defined as a fuzzy number to express its estimated uncertain values and the Binomial Tree is used to price a real option. A modified pricing approach to real options is thus proposed to transform the forecasted uncertain values evaluated by experts into some normal fuzzy numbers. Futthermore, Fuzzy Game is employed to find optimal strategy. The paper's objective is to propose the method that fulfills the lacking competitive view in investment decision making. The approach consistes of the combination of Real Option Analysis and Game Theory. The integration of these two methods helps a decision maker to view uncertainty of the project from competition perspective. A real investment case is given to illustrate the validity of the proposed approach.

    元の言語English
    ホスト出版物のタイトルProceedings - 2011 5th International Conference on Genetic and Evolutionary Computing, ICGEC 2011
    ページ381-384
    ページ数4
    DOI
    出版物ステータスPublished - 2011
    イベント5th International Conference on Genetic and Evolutionary Computing, ICGEC2011 - Xiamen
    継続期間: 2011 8 292011 9 1

    Other

    Other5th International Conference on Genetic and Evolutionary Computing, ICGEC2011
    Xiamen
    期間11/8/2911/9/1

    ASJC Scopus subject areas

    • Computational Theory and Mathematics
    • Computer Science Applications

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  • これを引用

    Tangsajanaphakul, T., & Watada, J. (2011). Fuzzy Game-based Real Option Analysis in competitive investment situation. : Proceedings - 2011 5th International Conference on Genetic and Evolutionary Computing, ICGEC 2011 (pp. 381-384). [6042806] https://doi.org/10.1109/ICGEC.2011.102